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I write a lot of Monte Carlo simulations. This article discusses how to assess whether two independent Monte Carlo estimates are close to each other. This result can be used to test the correctness of a Monte Carlo simulation. It can also be used to compare different Monte Carlo algorithms
In a previous article, I implemented an algorithm due to Niels Waller (TAS, 2020) that uses the method of alternating projections (MAP) to generate random correlation matrices that have a specified set of eigenvalues. The algorithm is iterative, and the MAP method is not guaranteed to converge, although Waller claims
